Statistical distribution comparison for two datasets

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For example I have two multivariate random variables a and b, and for a and b, I have N realizations for both of them such as and . I do not know the exact distribution of a and b, and I would like to know if they are approximately following the same distribution. Is there any method I can do that?

Accepted Answer

Jeff Miller
Jeff Miller on 21 Jul 2022
You could use manova if you just wanted to compare the centroids of the multivariate distributions, but it sounds like you want more than that--i.e., the ability to detect any sort of differences in the distributions, not just centroids.
If that is the case, you might be able to use a multivariate generalization of tests for full distributions.
I hope your N is huge...

More Answers (1)

KSSV
KSSV on 20 Jul 2022
  3 Comments
Kevin Zhu
Kevin Zhu on 20 Jul 2022
Consider a is a 100-dimension multivariate random variable, and I have dataset with N realizations. What I want to compare is the random aand b. I'll make it clear in the question

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